Time-varying dependence in the intraday AUS/USD spot market
conference contribution
posted on 2002-01-01, 00:00 authored by J Batten, C Ellis, W HoganUsing a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes and returns across the 24 hour trading "day". Employing statistical methods for measuring long-tenn dependence in time-series we find evidence of time-varying dependence and volatility that aligns with the opening and closing of markets. This variation is attributed to the effects of liquidity and the price-discovery actions of dealers.
History
Title of proceedings
FMA 2002 : Annual Meeting of the Financial Management Association International : Too Big to Fail Policies and Practices in Government BailoutsEvent
Financial Management Association International Meeting (2002 : San Antonio, Texas)Pagination
1 - 25Publisher
PraegerLocation
San Antonio, TexasPlace of publication
Westport, Conn.Start date
2002-10-16End date
2002-10-19ISBN-10
1567206212Language
engPublication classification
E1 Full written paper - refereedEditor/Contributor(s)
J RaderUsage metrics
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